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Spanning tests for options using principal components methods

Hansen, Charlotte S.; Tuypens, Bjorn E. - In: Applied financial economics 17 (2007) 7/9, pp. 739-746

Persistent link: https://www.econbiz.de/10003491227

Implied volatility smiles in the Nikkei 225 options

Fukuta, Yuichi; Wenjie Ma - In: Applied financial economics 23 (2013) 7/9, pp. 789-804

Persistent link: https://www.econbiz.de/10009750979

Calibrated GARCH models and exotic options

Kanniainen, Juho; Halme, Tero - In: Applied financial economics 23 (2013) 4/6, pp. 403-414

Persistent link: https://www.econbiz.de/10009718911

The Black-Litterman model : the definition of views based on volatility forecasts

Duqi, Andi; Franci, Leonardo; Torluccio, Giuseppe - In: Applied financial economics 24 (2014) 19/21, pp. 1285-1296

Persistent link: https://www.econbiz.de/10010460181

Pricing generalized capped exchange options

Wang, Chou-Wen; Liao, Szu-Lang; Wu, Ting-Yi - In: Applied financial economics 18 (2008) 7/9, pp. 765-776

Persistent link: https://www.econbiz.de/10003739384

Empirical performance of affine option pricing models : evidence from the Australian index options market

Sharp, Timothy; Li, Steven; Allen, David E. - In: Applied financial economics 20 (2010) 4/6, pp. 501-514

This article investigates the performance of affine option pricing models in the context of the Australian Standard … & Poor's (S&P)/Australian Stock Exchange (ASX) 200 index option market. This investigation is done through the implicit … estimation of the risk neutral parameters of affine option pricing models using S&P/ASX 200 index options data between January …

Persistent link: https://www.econbiz.de/10003963448